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Just to confirm, there's no way to handle tick updates during historical backtest?
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Just to confirm, there's no way to handle tick updates during historical backtest?
I'm doing a chart based strategy backtest using InteractiveBrokers historical data. Am I right that the only way to test the strategy and see how it handles both tick data and the bar update is to run it against the live feed (with a paper trading account)? Or is there a way to get it to handle tick updates on the backtest with historical data?Tags: None
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Originally posted by NinjaTrader_Josh View PostThat is correct. You can use the Market Replay feature for forward testing, but that requires you to record live market data for the instruments you wish to test.
Will NT support tick based backtesting in the next version?
Thx.
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You can use the Market Analyzer to load more instruments for recording.
Tick backtesting doesn't exist because there is no way to know how a 1min bar looks during that 1min. Even with tick data you are still missing bid/ask spread throughout that duration. This is why many people use forward testing on top of their backtesting.
For backtesting at the tick level you could try creating a multi-time framed strategy with a 1tick bar series.Josh P.NinjaTrader Customer Service
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Originally posted by NinjaTrader_Josh View PostYou can use the Market Analyzer to load more instruments for recording.
Tick backtesting doesn't exist because there is no way to know how a 1min bar looks during that 1min. Even with tick data you are still missing bid/ask spread throughout that duration. This is why many people use forward testing on top of their backtesting.
For backtesting at the tick level you could try creating a multi-time framed strategy with a 1tick bar series.
Also, doesn't a tick include the bid and the ask?
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Originally posted by NinjaTrader_Josh View PostYou can use the Market Analyzer to load more instruments for recording.
Tick backtesting doesn't exist because there is no way to know how a 1min bar looks during that 1min. Even with tick data you are still missing bid/ask spread throughout that duration. This is why many people use forward testing on top of their backtesting.
For backtesting at the tick level you could try creating a multi-time framed strategy with a 1tick bar series.
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Originally posted by NinjaTrader_Josh View PostYour understanding is correct.
Also I tried a multi-time framed strategy and I didn't get that far.
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tradefaz,
OnMarketUpdate doesn't store bid / ask data, its just a method you can use to get that data real-time. In terms of backtesting, the best bet is to use the replay recorder. If you want to record data for multiple pairs without having a chart open for each, reference my post #14 @ http://www.ninjatrader-support.com/v...ead.php?t=9727
NT 7 will allow for historic volume, bid, ask references, as well as other things.
hope this helps.
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Originally posted by mrlogik View Post...NT 7 will allow for historic volume, bid, ask references, as well as other things.
In other words will there be a new function VolumePlayback() added to the current bid, ask, last ...Playback() functions?
Thanks,
Gains
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Gains, to follow up - this is already supported as the Bid / AskPlayback functions for the ATI support the 'size' parameter - http://www.ninjatrader-support.com/H...unctions2.htmlBertrandNinjaTrader Customer Service
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